Were they working for you in a previous version? MAME has been updated for v35, so if you were using MAME roms that previously worked, you’ll probably need to upgrade your romset.
If this is all new to you for Neo Geo, I would advise you to use Final Burn Neo instead:
Use Neo Geo roms from the 1.0.0 romset. Put the roms in the ‘neogeo’ roms folder. Keep them all as .zip - do not unzip them.
Neo Geo should then use Final Burn Neo as the default emulator.